Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1278 |
| Annualized Std Dev | 0.2780 |
| Annualized Sharpe (Rf=0%) | 0.4598 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3261.0000 |
| NAs | 1.0000 |
| Minimum | -0.1346 |
| Quartile 1 | -0.0076 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0087 |
| Maximum | 0.1078 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0012 |
| Variance | 0.0003 |
| Stdev | 0.0175 |
| Skewness | -0.3746 |
| Kurtosis | 6.8265 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0126 |
| Gain Deviation | 0.0123 |
| Loss Deviation | 0.0133 |
| Downside Deviation (MAR=210%) | 0.0169 |
| Downside Deviation (Rf=0%) | 0.0123 |
| Downside Deviation (0%) | 0.0123 |
| Maximum Drawdown | 0.5625 |
| Historical VaR (95%) | -0.0255 |
| Historical ES (95%) | -0.0407 |
| Modified VaR (95%) | -0.0276 |
| Modified ES (95%) | -0.0522 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-06 | 2009-03-09 | 2009-10-14 | -0.5625 | 336 | 184 | 152 |
| 2018-08-23 | 2020-03-18 | 2020-11-24 | -0.5235 | 569 | 394 | 175 |
| 2011-07-08 | 2011-10-03 | 2012-02-02 | -0.2742 | 145 | 61 | 84 |
| 2015-06-24 | 2016-02-11 | 2016-11-11 | -0.2616 | 352 | 161 | 191 |
| 2010-04-26 | 2010-07-06 | 2010-12-10 | -0.2304 | 161 | 50 | 111 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | -2.1 | -1.3 | 1.3 | -0.2 | -0.4 | -0.5 | -0.2 | -0.4 | 4.6 | -12.1 | 6 | -6.3 |
| 2009 | -2.6 | -0.7 | -0.4 | 0.9 | 5 | 2.6 | 0.8 | -2.6 | -4.1 | -3.4 | 1.7 | -1.7 | -4.7 |
| 2010 | 1.2 | 2 | 1 | -3.5 | -3.2 | -0.8 | 0.3 | 4.2 | 0.8 | -0.8 | 1.9 | -1.1 | 1.9 |
| 2011 | 2.2 | -2.1 | 0.6 | 0.3 | -2.5 | 1.8 | -0.4 | -2.5 | -3.1 | -4 | 0.3 | -0.7 | -9.8 |
| 2012 | 2.4 | 0.3 | -0.4 | -0.4 | -3.3 | 3.5 | -2 | 0.3 | 0.3 | 2.3 | -0.1 | 2 | 4.7 |
| 2013 | 1 | 0.1 | -1.6 | -2.1 | -0.7 | 1.9 | 1.3 | -1.9 | 1.2 | -0.2 | 0.1 | 0.1 | -0.8 |
| 2014 | -0.7 | 0.2 | 0.3 | -0.1 | -0.1 | 1.3 | -0.5 | 0.6 | -1.7 | 1.7 | -1.4 | -0.6 | -1.1 |
| 2015 | -2 | -0.3 | -0.4 | 0.9 | 0.3 | 0.2 | 0.6 | -2.8 | -1.1 | 0 | 0.8 | -1.2 | -5 |
| 2016 | -0.9 | 1.6 | -0.1 | -0.7 | 0.7 | 0.9 | -0.3 | -0.3 | 1.6 | -1.5 | 0.1 | -0.8 | 0.3 |
| 2017 | -0.1 | 1.3 | 0.3 | 0.1 | 2.2 | 0 | 0.3 | 0.9 | 0.2 | -0.6 | -0.7 | -0.8 | 3.3 |
| 2018 | 0 | -0.7 | 0.8 | 0 | 0.6 | -0.4 | -0.7 | 0.3 | -1.4 | 2.3 | 0.4 | 0.6 | 1.8 |
| 2019 | 0.2 | 0.8 | 1.6 | -1.6 | -1.9 | 0.4 | -2.8 | 0.1 | -2.2 | 1.9 | -0.6 | 0.5 | -3.6 |
| 2020 | -2.7 | -0.5 | -7.7 | -3.7 | 2.1 | -2.1 | -1.2 | 1.5 | 1.3 | -1.9 | 1.6 | -0.1 | -13 |
| 2021 | -2.5 | 4.4 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-02-22 24.6 SPY 136. 0.0062 0.0033 0.0131 -0.0624 -0.0703 0.126 0.608 GLD 93.4 0.0015 0.041
2 2008-02-26 25.8 SPY 138. 0.0075 0.021 0.04 -0.04 -0.0469 0.158 0.651 GLD 93.7 0.0105 0.0233
3 2008-02-28 25.2 SPY 137. -0.0098 0.0154 0.0071 -0.04 -0.0288 0.127 0.644 GLD 96.0 0.0128 0.0294
4 2008-02-29 24.7 SPY 134. -0.0223 -0.0133 -0.0081 -0.0905 -0.0476 0.109 0.587 GLD 96.2 0.002 0.0299
5 2008-03-11 23.5 SPY 133. 0.0359 -0.00290 -0.0035 -0.121 -0.0595 0.0961 0.631 GLD 96.0 0.0013 0.0085
6 2008-03-12 24.0 SPY 131. -0.0094 -0.0185 -0.0179 -0.136 -0.0498 0.0835 0.631 GLD 97.0 0.0106 -0.0073
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
